Mean-field stochastic control with elephant memory in finite and infinite time horizon

DOI10.1080/17442508.2019.1635600zbMath1492.60146arXiv1804.09918OpenAlexW2963687979MaRDI QIDQ5087041

Nacira Agram, Bernt Øksendal

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.09918

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equationpartial informationmemorymean-field stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic integral equations (60H20) Jump processes on general state spaces (60J76)

Related Items (1)

Maximum principle for stochastic optimal control problem with distributed delays

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